EX-99.1 2 pnx_ex991.htm INVESTMENT PORTFOLIO SUPPLEMENT pnx_ex991.htm
 
EXHIBIT 99.1
 
The Phoenix Companies, Inc.
Investment Portfolio Supplement
As of September 30, 2010
 
 
 
 
 
2
Important disclosures
This presentation may contain “forward-looking statements” within the meaning of the Private Securities Litigation Reform Act of 1995. We intend for these
forward-looking statements to be covered by the safe harbor provisions of the federal securities laws relating to forward-looking statements. These forward-
looking statements include statements relating to trends in, or representing management’s beliefs about, our future transactions, strategies, operations and
financial results, and often contain words such as “will,” “anticipate,” “believe,” “plan,” “estimate,” “expect,” “intend,” “may,” “should” and other similar words or
expressions. Forward-looking statements are made based upon management’s current expectations and beliefs concerning trends and future developments
and their potential effects on us. They are not guarantees of future performance. Our actual business, financial condition and results of operations may differ
materially from those suggested by forward-looking statements as a result of risks and uncertainties, which include, among others: (i) unfavorable general
economic developments including, but not limited to, specific related factors such as the performance of the debt and equity markets and changes in interest
rates; (ii) the potential adverse affect of interest rate fluctuations on our business and results of operations; (iii) the effect of adverse capital and credit market
conditions on our ability to meet our liquidity needs, our access to capital and our cost of capital; (iv) changes in our investment valuations based on changes in
our valuation methodologies, estimations and assumptions; (v) the effect of guaranteed benefits within our products; (vi) potential exposure to unidentified or
unanticipated risk that could adversely affect our businesses or result in losses; (vii) the consequences related to variations in the amount of our statutory capital
due to factors beyond our control; (viii) the possibility that we not be successful in our efforts to implement a new business plan; (ix) the impact on our results of
operations and financial condition of any required increase in our reserves for future policyholder benefits and claims if such reserves prove to be inadequate;
(x) further downgrades in our debt or financial strength ratings; (xi) the possibility that mortality rates, persistency rates, funding levels or other factors may differ
significantly from our assumptions used in pricing products; (xii) the possibility of losses due to defaults by others including, but not limited to, issuers of fixed
income securities; (xiii) the availability, pricing and terms of reinsurance coverage generally and the inability or unwillingness of our reinsurers to meet their
obligations to us specifically; (xiv) our ability to attract and retain key personnel in a competitive environment; (xv) our dependence on third parties to maintain
critical business and administrative functions; (xvi) the strong competition we face in our business from banks, insurance companies and other financial services
firms; (xvii) our reliance, as a holding company, on dividends and other payments from our subsidiaries to meet our financial obligations and pay future
dividends, particularly since our insurance subsidiaries’ ability to pay dividends is subject to regulatory restrictions; (xviii) the potential need to fund deficiencies
in our closed block; (xix) tax developments that may affect us directly, or indirectly through the cost of, the demand for or profitability of our products or services;
(xx) the possibility that the actions and initiatives of the U.S. Government, including those that we elect to participate in, may not improve adverse economic and
market conditions generally or our business, financial condition and results of operations specifically; (xxi) legislative or regulatory developments; (xxii)
regulatory or legal actions; (xxiii) potential future material losses from our discontinued reinsurance business; (xxiv) changes in accounting standards; (xxv) the
potential impact of a material weakness in our internal control over financial reporting on the accuracy of our reported financial results, investor confidence and
our stock price;(xxvi) the risks related to a man-made or natural disaster; (xxvii) risks related to changing climate conditions; and (xxviii) other risks and
uncertainties described herein or in any of our filings with the SEC.
This information is provided as of September 30, 2010. Certain other factors which may impact our business, financial condition or results of operations or
which may cause actual results to differ from such forward-looking statements are discussed or included in our periodic reports filed with the SEC and are
available on our website at www.phoenixwm.com under “Investor Relations”. You are urged to carefully consider all such factors. We do not undertake or plan
to update or revise forward-looking statements to reflect actual results, changes in plans, assumptions, estimates or projections, or other circumstances
occurring after the date of this presentation, even if such results, changes or circumstances make it clear that any forward-looking information will not be
realized. If we make any future public statements or disclosures which modify or impact any of the forward-looking statements contained in or accompanying
this presentation, such statements or disclosures will be deemed to modify or supersede such statements in this presentation.
 
 
 
 
 
3
Page(s)
Table of contents
Summary                                                                                  4
Invested Assets                                                                                    5
Historical Portfolio Ratings                                                                                   6
Bond Portfolio                                                                                 7
Financial Sector Holdings                                                                                                                                                                     8
Structured Securities Portfolio                                                                                    9
Realized Credit Impairment Losses                                                                                   10
Unrealized Gains/Losses                                                                                  11
Commercial Mortgage-Backed Securities (CMBS)              12 - 14
Residential Mortgage-Backed Securities (RMBS)                15 - 22
Collateralized Debt Obligations (CDO) Holdings                   23  
Appendix:                                                                               24 - 27
Phoenix Life Insurance Company (PLIC) Closed Block 
 
 
 
 
 
4
As of September 30, 2010
Summary
> General account investment portfolio is well diversified and liquid; managed by a team with a
 successful track record of investing over a variety of market cycles, following a disciplined monitoring
 process
> 91% of bond investments are investment grade. Emphasis is on liquidity with 70% of bonds invested
 in public securities
> Strict limits on individual financial exposures that mitigate loss potential to any one particular entity; as
 a result, there is limited exposure to the financial institutions that have been in the news
> Net unrealized gains of $461 million versus net unrealized losses of $325 million at year-end 2009
> Residential mortgage-backed securities (RMBS) exposure is high quality and diversified. Exposure is
 concentrated in agency and prime-rated securities with only 2.6% of invested assets in Alt-A and
 subprime investments
> Commercial mortgage exposure is in highly rated commercial mortgage-backed securities with
 minimal direct loan or real estate holdings
> No subprime collateralized debt obligations (CDO) exposure. CDO holdings are backed by bank
 loans, investment grade bonds and commercial mortgage-backed securities
> No credit default swap (CDS) exposure
 
 
 
 
 
5
Bonds $10,926
76%
Policy Loans $2,313
16%
 Cash & Cash Equivalents $209 1%
 Venture Capital $209 1%
 Stock     $47 >1%
 Mortgages & Real Estate $6 >1%
 Other Invested Assets $672 5%
Total Invested Assets: $14.4 Billion
$ in millions
Market value as of September 30, 2010
Portfolio comprised
primarily of fixed income securities
 
 
 
 
 
6
Percentages based on GAAP Value
As of September 30, 2010
 
3Q09
4Q09
1Q10
2Q10
3Q10
Investment Grade Bonds
 88.6%
 89.2%
 89.9%
 90.9%
 91.0%
Below Investment Grade (BIG) Bonds
 11.4
 10.8
 10.1
 9.1
 9.0
Percentage of BIG in NAIC 3
 51.7
 57.9
 53.8
 55.1
 59.0
Percentage of BIG in NAIC 4-6
 48.3
 42.1
 46.2
 44.9
 41.0
Corporate
 
 
 
 
 
Investment Grade
 89.3
 89.6
 90.3
 91.0
 91.1
Below Investment Grade
 10.7
 10.4
 9.7
 9.0
 8.9
Structured
 
 
 
 
 
Investment Grade
 87.2
 88.6
 89.6
 90.7
 91.0
Below Investment Grade
 12.8
 11.4
 10.4
 9.3
 9.0
Portfolio quality improved
 
 
 
 
 
7
$ in millions
Market value as of September 30, 2010
1 Includes $200.3 million of Home Equity Asset Backed Securities also included in the RMBS exhibits
2 Includes $33.9 million of CMBS CDO’s also included in the CMBS exhibits
U.S. Corporates
57%
Foreign Corporates
8%
ABS 6%
 Emerging Markets
3%
Below Investment Grade (BIG) Bonds
by Sector
RMBS
6%

As of
September 30, 2010

Market
Value

% of Total
Industrials
$2,548.7
 23.3%
Residential MBS1
2,063.7
 18.9
Foreign Corporates
1,613.5
 14.8
Financials
1,525.6
 14.0
Commercial MBS
1,114.7
 10.2
U.S. Treasuries / Agencies
650.5
 5.9
Utilities
524.5
 4.8
Asset Backed Securities
369.7
 3.4
CBO/CDO/CLO2
228.0
 2.1
Taxable Municipals
189.5
 1.7
Emerging Markets
97.7
 0.9
Total
$10,926.1
 100.0%
Bonds by Rating
NAIC 1
58.3%
NAIC 2
32.7%
NAIC 3 & Lower
(BIG)
9.0%
CDO/CLO
18%
CMBS 2%
Bond portfolio diversified by sector
 
 
 
 
 
8
Sector
Book
Value
Market
Value
% General
Account
% in Closed
Block
Bank
 $461.7
 $459.7
 3.2%
 68.5%
Broker-Dealer
 86.6
 89.6
 0.6
 48.9
Commercial Finance
 59.0
 59.6
 0.4
 40.7
Consumer Finance
 46.9
 48.8
 0.3
 69.6
Diversified Financial
 258.0
 215.6
 1.5
 49.5
Insurance
 343.1
 363.2
 2.5
 66.6
Leasing/Rental
 83.0
 94.9
 0.7
 62.0
REITS
 181.4
 193.8
 1.4
 63.0
Project Finance
 0.3
 0.4
 -
 -
Total
 $1,520.0
 $1,525.6
 10.6%
 62.0%
$ in millions
As of September 30, 2010
Percentages based on market value
Diverse financial sector holdings
 
 
 
 
 
9
AAA
70.6%
B or less - 4.4%
BBB - 6.3%
AA - 4.5%
A - 9.6%
BB - 4.6%
$ in millions
Market value as of September 30, 2010, Quality rating breakdown based on NAIC ratings
1 Includes $33.9 million of CMBS CDOs

As of
September 30, 2010

Market
Value

% of Total
Residential MBS
$ 1,863.4
 49.4%
Commercial MBS
1,114.7
 29.5
CBO/CDO/CLO1
228.0
 6.0
Other ABS
218.9
 5.8
Home Equity
200.3
 5.3
Auto Loans
88.1
 2.3
Manufactured Housing
36.7
 1.0
Aircraft Equipment Trust
26.0
 0.7
Total
$3,776.1
 100.0%
High quality
structured securities portfolio
> Structured portfolio is 91% investment grade
> RMBS (49.4%) and CMBS (29.5%) dominate the structured portfolio
 
 
 
 
 
10
Moderation in credit impairments
GAAP Credit Impairments
 
3Q09
4Q09
1Q10
2Q10
3Q10
Prime RMBS
$1.3
$0.6
$0.7
$1.9
-
Alt-A RMBS
2.1
6.6
4.6
2.4
0.5
Subprime RMBS
-
0.2
0.1
-
-
CLO/CDO
6.0
3.8
5.5
3.4
3.6
CMBS
-
1.5
1.4
0.7
2.9
Corporate
0.9
15.0
1.9
1.7
1.1
Other ABS/MBS
-
4.5
-
2.1
3.7
Total Debt
$10.3
$32.1
$14.2
$12.2
$11.8
Schedule BA
1.1
0.4
-
-
-
Equity
3.5
1.7
0.3
0.2
0.1
Total Credit Impairments
$14.9
$34.2
$14.5
$12.4
$11.9
$ in millions
As of September 30, 2010
 
 
 
 
 
11
$ in millions
1 All Other - Corporates, RMBS Agency, Other ABS, Foreign, US Government
 
December 31, 2009
September 30, 2010
YTD Change
RMBS Prime
 $(74.1)
 $(24.9)
 $49.2
Subprime/Alt-A
 (105.1)
 (60.7)
 44.4
CDO/CLO
 (89.6)
 (76.2)
 13.4
CMBS
 (49.9)
 29.5
 79.4
Financial
 (144.2)
 5.6
 149.8
All Other High Yield
 (41.7)
 (1.2)
 40.5
All Other1
 179.6
 589.3
 409.7
Total
 $(325.0)
 $461.4
 $786.4
Portfolio in a gain position
 
 
 
 
 
12
 
Market1
Phoenix
Weighted average credit
enhancement
27%
28%
Weighted average credit
enhancement (U.S. Treasury
defeasance adjusted)
28%
33%
Interest Only (I/O) loans
68%
28%
Weighted average coupon
5.79%
6.38%
Weighted average loan age
59 months
90 months
60+ Delinquency Rate
7.6%
5.4%
As of September 30, 2010
1Sources: Barclays CMBS Index,Trepp, Bloomberg
Well constructed CMBS portfolio
Phoenix CMBS Portfolio
> High levels of credit enhancement
> Excellent credit characteristics vs.
 market
> Avoided 2006 and 2007 aggressive
 underwriting
 
 
 
 
 
13
Vintage
 4Q09
2007
 14.7%
2006
 12.2
2005
 8.4
2004
 4.4
2003 and prior
 3.5
Phoenix CMBS
Stress Test Results
Source: Moody’s Outlook for US CRE/CMBS - November 23, 2009, TREPP, Bloomberg
1 Coverage = Credit Enhancement/Deal Stress Loss
> 66% of the Phoenix CMBS portfolio can withstand >4.0x Moody’s stress loss estimates
> PNX Portfolio Weighted Average Credit Enhancement is 28%
> PNX Portfolio Weighted Average Loss Estimate is 5.3%
PNX Conduit/Fusion Portfolio Weighted Average Coverage1 5.2x
Stress Loss Coverage1
≥ 4.0x
66%
≤ 4.0x
34%
≤ 2.0x
3.7%
≤ 1.0x
0.4%
 
 
Phoenix CMBS portfolio stress testing
Moody’s Stress Loss Forecasts
(Conduit/Fusion)
 
 
 
 
 
14
Market value as of September 30, 2010
Percentages based on market value
$ in millions
Highly rated, seasoned
CMBS portfolio
> $1.1 billion in market value
> $151.9 million or 13.3% Government
 guaranteed
> 81.2% AAA and 3.7% BBB or below
> 79.9% 2005 and prior origination
> Only 3% in CMBS CDO’s
 
 
 
 
 
15
High quality, diversified RMBS portfolio
$ in millions
Market value as of September 30, 2010


Rating

Book
Value

Market
Value

% General
Account


AAA


AA


A


BBB
 
BB &
Below
Agency
$1,089.0
$1,151.2
 8.0%

 
100.0%
-
-
-
-
Prime
561.0
536.1
 3.7%
 60.7%
 11.6%
2.3%
0.7%
 24.7%
Alt-A
258.2
222.6
 1.5%
 32.5%
 15.9%
7.4%
8.1%
 36.1%
Subprime
178.9
153.8
 1.1%
 65.6%
 5.2%
-
10.0%
 19.2%
Total
$2,087.1
$2,063.7
 14.3%
 79.9%
 5.1%
1.4%
1.8%
 11.8%
 
 
 
 
 
16
 
 
 
% of General
Account
 
 
% Rated
AAA & AA
 
% of Portfolio
Originated in
2005 & Prior
% of
Portfolio
Backed by
Fixed Rate
Collateral
% of Market
Backed by
Fixed Rate
Collateral
Non-Agency
Prime
 3.7%
 72.3%
 81.7%
 93.5%
 48.0%
Alt-A
 1.5
 48.4
 73.7
 100.0
 34.0
Subprime
 1.1
 70.8
 66.0
 88.0
 32.0
Market value as of September 30, 2010
Source: JP Morgan MBS Research, Bank of America/Merrill Lynch Credit Round-up
Well constructed RMBS portfolio
 
 
 
 
 
17
RMBS delinquencies
better than market
Market value as of September 30, 2010
Source: JP Morgan MBS Research 60+ day
 
 
 
 
 
18
$ in millions
As of September 30, 2010
High quality, seasoned
non-agency prime RMBS holdings
> $536.1 million market value
> 72.3% AAA and AA rated
> 81.7% 2005 and prior origination
> 93.5% fixed rate
 
 
 
 
 
19
As of September 30, 2010
Source: JP Morgan MBS Research - September 2010, Bloomberg
Market Phoenix
Weighted average credit enhancement 4.6% 9.7%
Weighted average 60+ day delinquent loan 12.3% 5.5%
Phoenix prime portfolio loss coverage: using 40% loss severity 0.93x 4.4x
Well constructed
non-agency prime RMBS portfolio
 
 
 
 
 
20
$ in millions
Market value as of September 30, 2010
Seasoned
non-agency Alt-A RMBS holdings
> $222.6 million market value
> 48.4% AAA or AA rated
> 73.7% 2005 and prior originations
> Phoenix 60+ day delinquent 14.6% vs.
 28.1% for Alt-A market
 
 
 
 
 
21
As of September 30, 2010
Sources: JP Morgan MBS Research - September 2010
Bank of America/Merrill Lynch - September 2010
Option ARM 32% -
Alt-A ARM 34% -
Alt-A Fixed 34% 100%
60+ Delinquent 28.1% 14.6%
Alt-A Market Phoenix
Fixed-rate
non-agency Alt-A RMBS portfolio
 
 
 
 
 
22
$ in millions
Market value as of September 30, 2010
Source: JP Morgan MBS Research September 2010
High quality
non-agency subprime RMBS portfolio
> $153.8 million market value
> 70.8% rated AAA or AA
> Phoenix 60+ day delinquent
 19.7% vs. 42.2% for the subprime
 market
> Phoenix weighted average credit
 support is 30.7%
 
 
 
 
 
23
Diversified CDO holdings
$ in millions
No affiliated CDO holdings as of September 30, 2010
Percentages based on market value

Collateral
Book
Value
Market
Value
% General
Account

AAA

AA

A

BBB
BB &
Below
Bank Loans
$241.8
$188.6
1.3%
-
 3.4%
8.1%
26.5%
62.0%
Inv Grade Debt
6.7
5.5
-
-
 49.4%
 -
50.6%
-
CMBS
55.7
33.9
0.2%
34.3%
 44.9%
6.2%
5.3%
9.3%
Total
$304.2
$228.0
1.5%
 5.1%
 10.7%
7.6%
23.9%
 52.7%
 
 
 
 
 
Appendix
 
 
 
 
 
25
Bonds $6,581
79%
Policy Loans $1,349
16%
 Cash & Cash Equivalents  $28 0%
 Venture Capital  $199 3%
 Stock     $19 0%
 Mortgages & Real Estate       $5 0%
 Other Invested Assets $138 2%
Invested Assets: $8.3 Billion
$ in millions
Market value as of September 30, 2010
PLIC Closed Block investments
primarily fixed income
 
 
 
 
 
26
Percentages based on GAAP Value
As of September 30, 2010
 
3Q09
4Q09
1Q10
2Q10
3Q10
Investment Grade Bonds
 90.9%
 91.6%
 92.0%
 92.5%
 92.6%
Below Investment Grade (BIG) Bonds
 9.1
 8.4
 8.0
 7.5
 7.4
Percentage of BIG in NAIC 3
 60.7
 64.3
 62.1
 62.6
 67.3
Percentage of BIG in NAIC 4-6
 39.3
 35.7
 37.9
 37.4
 32.7
Public Bonds
 67.7
 67.4
 68.2
 67.5
 66.5
Private Bonds
 32.3
 32.6
 31.8
 32.5
 33.5
PLIC Closed Block
portfolio high quality
 
 
 
 
 
27
U.S. Corporates
59%
Foreign Corporates
9%
ABS - 5%
 Emerging Markets -5%
$ in millions
Market value as of September 30, 2010
1 Includes $23.0 million of Home Equity Asset Backed Securities
2 Includes $19.9 million of CMBS CDO’s
Below Investment Grade (BIG) Bonds
by Sector
Bond Portfolio
Phoenix Closed Block
 
As of September 30, 2010
 %
Industrials
$1,716.2
26.1
Residential MBS1
1,041.3
15.8
Foreign Corporates
1,007.5
15.3
Financials
946.3
14.4
Commercial MBS
719.5
10.9
U.S. Treasuries / Agencies
406.6
6.2
Utilities
351.1
5.3
Taxable Municipals
123.8
1.9
Asset Backed Securities
102.2
1.6
CBO/CDO/CLO’s2
92.6
1.4
Emerging Markets
74.2
1.1
Total
$6,581.3
 100.0%
Bonds by Rating
NAIC 1
58.7%
NAIC 2
33.9%
NAIC 3 & Lower
7.4%
RMBS - 7%
CLO/CDO
13%
CMBS - 2%
PLIC Closed Block
portfolio diversified